XLF Options History — August 2021

In August 2021, XLF traded between $36.57 and $39.00. ATM implied volatility averaged 18.6%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.0% (HV 20d: 17.6%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.84.

Notable Days

2021-08-06: Highest Volume — 434,804 contracts
2021-08-27: Largest IV drop — 13.2% change
2021-08-19: Highest IV Rank — 25.1%
2021-08-19: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.02	$36.57	$39.00	$36.57	$38.40
Max Pain	$36.50	$36.00	$37.00	$37.00	$37.00
ATM IV	18.6%	16.8%	22.1%	19.8%	18.2%
Expected Move	5.2%	4.5%	6.3%	5.6%	4.9%
HV 20d	17.6%	12.6%	24.8%	24.8%	14.8%
HV 60d	19.3%	18.9%	19.8%	19.7%	19.6%
IV Rank	9.7%	1.5%	25.1%	15.2%	8.0%
IV Percentile	15.1%	0.4%	37.3%	26.2%	12.7%
Term Structure	0.2%	-0.7%	1.9%	0.1%	-0.7%
VWIV	19.7%	16.5%	23.3%	19.8%	18.2%
Skew 25d	3.9%	2.6%	5.2%	4.9%	3.9%
Skew 10d	8.6%	6.4%	12.9%	10.8%	8.1%
Call IV 25d	17.3%	15.5%	19.6%	18.1%	16.4%
Put IV 25d	21.2%	19.0%	24.7%	23.1%	20.3%
Bid-Ask Spread %	3.78	1.43	40.12	2.25	2.37
Gamma HHI	0.13	0.08	0.24	0.10	0.20
Net GEX	67.6M	-19.1M	166.4M	-17.1M	94.3M
Net DEX	-2.02B	-3.08B	-607.6M	-607.6M	-2.13B
Net VEX	-20.4M	-21.7M	-19.0M	-21.2M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.39	11.32	1.78	1.89
Total Volume	203,503.591	100,627	434,804	161,191	110,948
Total OI	5,341,854.227	5,021,128	5,977,686	5,021,128	5,395,501

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-08-02	$36.57	$37.00	19.8%	5.6%	24.8%	15.2%	19.8%	4.9%	0.1%	-17.1M	-607.6M	-21.2M	1.78	2.25	58,074	103,117	1,824,279	3,196,849
2021-08-03	$36.91	$37.00	19.3%	5.2%	24.4%	12.9%	18.9%	4.2%	-0.1%	33.2M	-1.10B	-20.7M	1.29	2.07	44,141	57,158	1,849,186	3,208,306
2021-08-04	$36.76	$37.00	19.1%	5.1%	24.5%	11.8%	19.0%	4.3%	-0.2%	21.9M	-862.1M	-20.3M	2.89	1.88	25,868	74,759	1,872,273	3,285,327
2021-08-05	$37.07	$36.00	18.5%	5.4%	22.8%	9.2%	20.1%	4.0%	0.1%	81.9M	-1.24B	-20.6M	1.04	1.74	133,090	138,930	1,871,275	3,318,596
2021-08-06	$37.84	$36.00	17.9%	5.3%	21.3%	6.7%	19.7%	3.5%	-0.1%	39.3M	-2.02B	-20.1M	0.69	1.68	257,502	177,302	1,882,724	3,376,102
2021-08-09	$37.99	$36.00	18.5%	5.5%	21.0%	9.2%	18.8%	3.2%	0.6%	63.8M	-2.13B	-19.0M	0.77	1.91	190,447	147,543	1,847,800	3,342,516
2021-08-10	$38.33	$36.00	18.0%	5.5%	20.8%	7.1%	19.6%	3.1%	1.1%	96.6M	-2.60B	-19.2M	0.62	1.43	143,668	89,010	1,925,767	3,393,265
2021-08-11	$38.73	$36.00	18.0%	5.2%	20.6%	7.2%	20.5%	2.9%	0.3%	138.0M	-3.08B	-19.8M	0.88	1.81	121,482	106,423	2,006,049	3,419,900
2021-08-12	$38.83	$36.00	17.2%	5.1%	20.6%	3.6%	18.7%	2.6%	0.5%	150.5M	-3.06B	-19.9M	1.01	1.72	107,015	108,044	1,998,333	3,446,593
2021-08-13	$38.57	$36.00	17.1%	4.9%	19.9%	3.1%	18.6%	3.2%	-0.1%	152.4M	-2.86B	-19.8M	1.24	1.62	55,095	68,280	2,019,551	3,467,779
2021-08-16	$38.44	$36.00	18.3%	5.3%	15.6%	8.2%	19.5%	3.0%	0.1%	102.8M	-2.58B	-20.1M	1.62	1.58	91,159	148,028	1,980,745	3,467,913
2021-08-17	$38.10	$36.00	19.3%	5.6%	13.4%	13.1%	21.2%	4.6%	0.4%	61.5M	-2.02B	-20.9M	1.79	1.57	46,107	82,389	1,992,888	3,502,878
2021-08-18	$37.91	$36.00	19.6%	5.6%	12.6%	14.2%	22.0%	4.5%	0.4%	32.4M	-1.91B	-20.2M	11.32	1.99	35,194	398,478	2,024,470	3,538,366
2021-08-19	$37.41	$36.00	22.1%	6.3%	13.1%	25.1%	23.3%	5.2%	-0.3%	-19.1M	-1.24B	-21.4M	1.40	1.63	104,662	146,180	2,040,674	3,579,091
2021-08-20	$37.69	$37.00	19.4%	5.4%	13.2%	13.2%	22.8%	4.8%	1.9%	-7.7M	-1.54B	-21.2M	3.64	40.12	35,074	127,550	2,049,305	3,928,381
2021-08-23	$38.03	$37.00	18.5%	5.1%	13.4%	9.4%	22.2%	4.5%	0.3%	16.8M	-1.72B	-21.1M	2.01	1.90	50,937	102,602	1,748,810	3,348,842
2021-08-24	$38.26	$37.00	17.7%	4.8%	13.4%	5.9%	17.7%	4.3%	1.1%	35.2M	-1.93B	-21.1M	1.74	1.95	49,268	85,750	1,740,479	3,408,841
2021-08-25	$38.70	$37.00	18.5%	4.9%	13.8%	9.4%	17.4%	3.9%	-0.7%	63.9M	-2.47B	-20.4M	0.39	5.38	111,225	43,879	1,760,656	3,469,324
2021-08-26	$38.50	$37.00	19.3%	5.4%	13.9%	12.9%	20.9%	4.0%	0.7%	60.5M	-2.19B	-21.7M	0.42	2.29	139,062	57,823	1,785,005	3,511,523
2021-08-27	$39.00	$37.00	16.8%	4.5%	13.7%	1.5%	16.5%	3.5%	0.1%	166.4M	-2.89B	-19.5M	0.97	2.06	71,543	69,422	1,810,832	3,533,387
2021-08-30	$38.50	$37.00	18.0%	4.7%	14.9%	7.0%	16.8%	3.2%	-0.4%	118.7M	-2.35B	-19.8M	1.11	2.28	77,259	85,592	1,861,288	3,489,124
2021-08-31	$38.40	$37.00	18.2%	4.9%	14.8%	8.0%	18.2%	3.9%	-0.7%	94.3M	-2.13B	-20.1M	1.89	2.37	38,343	72,605	1,858,370	3,537,131